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John A Morrison's Blog – September 2009 Archive (1)

Principal Components Analysis (of the Robust Type) REFERENCES

A "sparring partner" on Twitter, @CMastication asked a question about PCA the other day & in looking for quick riposte I realised that I have been rather banging on here about the Copula. I couldn't find a reference here at all to PCA! So I need to fix that since I am a huge fan and big user of PCA. Of course the leading thinker in the space is Professor Croux at UKL here in Belgium who is an adviser to my firm.…


Added by John A Morrison on September 3, 2009 at 1:00am — No Comments

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